Options
Building on the Derivative Instruments series, this intensive intermediate level series explores the different types of option products, including options on equities, indexes, futures, foreign exchange, and interest rates. It illustrates option combination trading strategies, including horizontal and vertical spreads and volatility plays. Participants explore the various factors that have an impact on option pricing, and learn how to apply the Binomial and Black-Scholes option pricing models. The series also demonstrates trading strategies and portfolio management techniques using the Greeks.
This curriculum is made up of the following modules:
- Options Terminology
- Fundamentals of Options Products
- Option Combination Strategies
- Factors That Impact an Option's Value
- Pricing Options
- Option Sensitivities
| Program Level | Intermediate |
| Prerequisites | Derivative Instruments or equivalent level of knowledge. |
| Advance Preparation | No advance preparation required. |
| Recent Revision Date | May 26, 2015 |
| Instructional Delivery Method | QAS Self Study |
| Field of Study | Specialized Knowledge and Applications |
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Duration : 1 hour
- Call and put options
- Exchange-traded vs. over-the-counter (OTC) options
- Call option valuation at expiration
- Payoff and value profiles
- Option valuation before expiration
Duration : 1 hour
- Stock (or equity) options
- Index options
- Futures options
- Options on interest bearing securities
- Currency options
- Interest rate options: caps, floors and collars
Duration : 1 hour
- Horizontal and vertical spreads: bull and bear spreads
- Portfolio strategies: protective puts and writing covered calls
- Volatility plays: straddles and strangles
Duration : 1 hour
- Putﾖcall parity
- Expected value model
- Single- and multi-period binomial lattice models
- Factors that determine the value of options
Duration : 2 hours
- Mean and standard deviation
- Historical vs. implied volatility
- Probability distribution functions
- Convergence of the Binomial Model with Black-Scholes
- Black-Scholes model
- American option pricing models
Duration : 1 hour
- Introducing the Greeks
- Delta
- Impact of moneyness on Delta
- Delta hedging
- Gamma
- impact of moneyness on Gamma
- Theta
- Vega
- Rho and Psi